private void buildPerformanceReport(DateTime reportStart, DateTime reportEnd, string fundCode)
{
try
{
IFundDataAdapter IFDA = FundDataAdaptorFactory.GetAdaptor(FundDataAdaptorFactory.AdapterType.YSS);
IMarketDataAdapter IMDA = MarketDataAdaptorFactory.GetAdaptor(MarketDataAdaptorFactory.AdapterType.Wind);
//基金类型数据
DataTable dtFund = DataService.GetInstance().GetPortfolioList();
DataRow oFundRow = null;
if (dtFund != null)
{
for (int i = 0; i < dtFund.Rows.Count; i++)
{
string fcode = dtFund.Rows[i]["Code"].ToString();
if (fcode == fundCode)
{
oFundRow = dtFund.Rows[i];
break;
}
}
}
if (oFundRow == null)
{
LabelStatus.Text = "未知的代码！";
return;
}
string fundName = oFundRow["Name"].ToString();
string isHedgeFund = oFundRow["IsHedgeFund"].ToString();
string assetType = oFundRow["AssetType"].ToString();
string operationType = oFundRow["opType"].ToString();
Portfolio.PortfolioType pType = Portfolio.PortfolioType.MutualFund;
Portfolio.PortfolioCategoryI pCategoryI = Portfolio.PortfolioCategoryI.EquityFund;
Portfolio.PortfolioCategoryII pCategoryII = Portfolio.PortfolioCategoryII.OpenEnd;
switch (assetType)
{
case "E": //Equity
pCategoryI = Portfolio.PortfolioCategoryI.EquityFund;
break;
case "B": //Bond
pCategoryI = Portfolio.PortfolioCategoryI.BondFund;
break;
case "M": //Monetary
pCategoryI = Portfolio.PortfolioCategoryI.MonetaryFund;
break;
default:
break;
}
switch (operationType)
{
case "O": //Open End
pCategoryII = Portfolio.PortfolioCategoryII.OpenEnd;
break;
case "C": //Close End
pCategoryII = Portfolio.PortfolioCategoryII.CloseEnd;
break;
default:
break;
}
if (isHedgeFund == "1")
{
pType = Portfolio.PortfolioType.HedgeFunds;
}
else
{
pType = Portfolio.PortfolioType.MutualFund;
}
//market data
DataTable dtGZB = DataService.GetInstance().GetGZB(reportStart, reportEnd, fundCode, null);
DataTable dtTradingDays = DataService.GetInstance().GetTradingDaysList(reportStart, reportEnd);
DataTable dtPriceInfo = DataService.GetInstance().GetStockPrices(reportStart, reportEnd); //1Month: 2400 * 22 = 52800 Rows
DataTable dtEquityInfo = DataService.GetInstance().GetAShareStockList(null); //Total: 2400 Rows
DataTable dtCapitalInfo = DataService.GetInstance().GetFreeFloatCapital(reportEnd, null); //Total: 2400 Rows
DataTable dtIndustryInfo = DataService.GetInstance().GetSWIndustryList(); //Total: 23 Rows
//==============================
//Benchmark
//==============================
DataTable dtBenchmarkList = DataService.GetInstance().GetPortfolioBenchmarkList(fundCode);
string defaultBMCode = "000300.SH";
BenchmarkPortfolio bmf = new BenchmarkPortfolio(reportStart, reportEnd, reportStart, reportEnd);
if (dtBenchmarkList.Rows.Count > 0)
{
foreach (DataRow oRow in dtBenchmarkList.Rows)
{
string benchmarkcode = "";
string benchmarkname = "";
double benchmarkweight = 0;
double constrate = 0;
if (oRow["BENCHMARKCODE"] != DBNull.Value)
{
benchmarkcode = oRow["BENCHMARKCODE"].ToString();
}
if (oRow["BENCHMARKNAME"] != DBNull.Value)
{
benchmarkname = oRow["BENCHMARKNAME"].ToString();
}
if (oRow["BENCHMARKWEIGHT"] != DBNull.Value)
{
benchmarkweight = Convert.ToDouble(oRow["BENCHMARKWEIGHT"]);
}
if (oRow["CONSTRATE"] != DBNull.Value)
{
constrate = Convert.ToDouble(oRow["CONSTRATE"]);
}
if (benchmarkcode.Length > 0)
{
//e.g. 沪深300指数
DataTable dtBenchmarkIndex = DataService.GetInstance().GetIndexPrices(reportStart, reportEnd, benchmarkcode);
bmf.AddBenchmarkIndex(new BenchmarkDef(benchmarkcode, benchmarkname, benchmarkweight, 0, IMDA.GetPriceList(dtBenchmarkIndex)));
defaultBMCode = benchmarkcode;
}
else
{
//e.g. 银行存款
bmf.AddBenchmarkIndex(new BenchmarkDef(null, benchmarkname, benchmarkweight, constrate, null));
}
}
}
DataTable dtBMWeight = DataService.GetInstance().GetIndexWeights(defaultBMCode, reportEnd);
bmf.BuildBenchmarkComponents(IMDA.GetPositionList(dtBMWeight), IMDA.GetPriceList(dtPriceInfo));
//==============================
//Performance Evaluator
//==============================
PerformanceEvaluator pe = new PerformanceEvaluator(reportStart, reportEnd, fundCode, fundName, pType, pCategoryI, pCategoryII);
pe.BuildPortfolios(IFDA.BuildGZBList(dtGZB), IMDA.GetPositionList(dtEquityInfo), IMDA.GetPriceList(dtPriceInfo), IMDA.GetPositionList(dtCapitalInfo));
//更新债券到期日等
string bondcodelist = "";
pe.GetBondPositions(out bondcodelist);
if (bondcodelist.Length > 0)
{
DataTable dtBondInfo = DataService.GetInstance().GetChinaBondList(bondcodelist);
pe.UpdateBondPositions(IMDA.GetPositionList(dtBondInfo));
}
//评估
pe.Evaluate(bmf, IMDA.GetIndustryList(dtIndustryInfo));
//==============================
//Output
//==============================
_htmloutput = new HTMLOutput(pe);
//基本信息
spFundInfo.InnerHtml = _htmloutput.GetFundInfo();
//流动性风险: 股票/债券
GridViewEquityPositionDetail.DataSource = _htmloutput.GetEquityPositionTable();
GridViewEquityPositionDetail.DataBind();
GridViewBondPositionDetail.DataSource = _htmloutput.GetPureBondPositionTable();
GridViewBondPositionDetail.DataBind();
GridViewCBondPositionDetail.DataSource = _htmloutput.GetConvertableBondPositionTable();
GridViewCBondPositionDetail.DataBind();
GridViewCashPositionDetail.DataSource = _htmloutput.GetCashPositionTable();
GridViewCashPositionDetail.DataBind();
GridViewOtherPositionDetail.DataSource = _htmloutput.GetOtherPositionTable();
GridViewOtherPositionDetail.DataBind();
//绩效归因
GridViewIndustry.DataSource = _htmloutput.GetIndustryTable();
GridViewIndustry.DataBind();
}
catch (Exception ex)
{
LabelStatus.Visible = true;
LabelStatus.Text = ex.Message;
}
}
private void buildPositionReport(DateTime reportStart, DateTime reportEnd, string fundCode)
{
try
{
//基金类型数据
DataTable dtFund = DataService.GetInstance().GetPortfolioList();
DataRow oFundRow = null;
if (dtFund != null)
{
for (int i = 0; i < dtFund.Rows.Count; i++)
{
string fcode = dtFund.Rows[i]["Code"].ToString();
if (fcode == fundCode)
{
oFundRow = dtFund.Rows[i];
break;
}
}
}
if (oFundRow == null)
{
LabelStatus.Text = "未知的代码！";
return;
}
string fundName = oFundRow["Name"].ToString();
string benchmarkname = oFundRow["Benchmark"].ToString();
string benchmarkcode = oFundRow["BenchmarkCode"].ToString();
DataTable dtGZB = DataService.GetInstance().GetGZB(reportStart, reportEnd, fundCode, null);
Performance p = new Performance();
p.LoadData(dtGZB, Security.Portfolio.PortfolioDataAdapterType.YSS, reportStart, reportEnd, benchmarkcode);
p.Attribute();
//基本信息
string html = this.getFundInfo(p, fundCode, fundName, benchmarkname);
spFundInfo.InnerHtml = html;
//归因分析
GridViewIndustry.DataSource = p.GetAttributionTable();
GridViewIndustry.DataBind();
//持仓分析
GridViewEquityPositionDetail.DataSource = p.GetPositionTable(SecurityType.Equity);
GridViewEquityPositionDetail.DataBind();
GridViewEquityPositionDetail.Caption = "股票持仓（" + p.PortfGroup.GetLatestPortfolio().EquityHoldings.Position.MarketValuePct.ToString("P2") + "）";
GridViewBondPositionDetail.DataSource = p.GetPositionTable(SecurityType.Bond);
GridViewBondPositionDetail.DataBind();
GridViewBondPositionDetail.Caption = "债券持仓（" + p.PortfGroup.GetLatestPortfolio().BondHoldings.Position.MarketValuePct.ToString("P2") + "）";
GridViewFundPositionDetail.DataSource = p.GetPositionTable(SecurityType.Fund);
GridViewFundPositionDetail.DataBind();
GridViewFundPositionDetail.Caption = "基金持仓（" + p.PortfGroup.GetLatestPortfolio().FundHoldings.Position.MarketValuePct.ToString("P2") + "）";
GridViewRevRepoPositionDetail.DataSource = p.GetPositionTable(SecurityType.RevRepo);
GridViewRevRepoPositionDetail.DataBind();
GridViewRevRepoPositionDetail.Caption = "逆回购持仓（" + p.PortfGroup.GetLatestPortfolio().RevRepoHoldings.Position.MarketValuePct.ToString("P2") + "）";
GridViewTheRepoPositionDetail.DataSource = p.GetPositionTable(SecurityType.TheRepo);
GridViewTheRepoPositionDetail.DataBind();
GridViewTheRepoPositionDetail.Caption = "正回购持仓（" + p.PortfGroup.GetLatestPortfolio().TheRepoHoldings.Position.MarketValuePct.ToString("P2") + "）";
GridViewCashPositionDetail.DataSource = p.GetPositionTable(SecurityType.Deposit);
GridViewCashPositionDetail.DataBind();
GridViewCashPositionDetail.Caption = "现金持仓（" + p.PortfGroup.GetLatestPortfolio().CashHoldings.Position.MarketValuePct.ToString("P2") + "）";
//交易记录
GridViewTransactionDetail.DataSource = p.GetTransactionTable();
GridViewTransactionDetail.DataBind();
//消息
GridViewMessages.DataSource = MessageManager.GetInstance().GetMessageTable();
GridViewMessages.DataBind();
}
catch (Exception ex)
{
LabelStatus.Visible = true;
LabelStatus.Text = ex.Message;
}
}